Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of May 10th.</li>
<li>We estimate the weekly inflows to be US$1,023.9 million, led by consumer staples, materials, financials sectors, and offset by information technology, communication services, consumer discretionary.</li>
<li>We highlight flows for Moutai, CMB, Shenzhen Inovance Technology, Haier Smart Home, Luxshare Precision, Nari Technology, Shanghai Putailai New Energy Technology, Midea, Focus Media.</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of May 10th.
We estimate the weekly inflows to be US$1,023.9 million, led by consumer staples, materials, financials sectors, and offset by information technology, communication services, consumer discretionary.
We highlight flows for Moutai, CMB, Shenzhen Inovance Technology, Haier Smart Home, Luxshare Precision, Nari Technology, Shanghai Putailai New Energy Technology, Midea, Focus Media.


Northbound Flows (May 10th): Moutai, CMB, Inovance, Haier Smart Home, Luxshare Precision, Nari

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

Huatai Securities Co Ltd (A) / Index Rebalance

<ul>
<li>SSE 50 and SSE 180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on the Shanghai Stock Exchange.</li>
<li>The 12-month reference period used for the June 2024 review is now complete. The SSE 180 expected ADDs/DELs list has changed slightly since I published my last insight (<a href="https://www.smartkarma.com/insights/quiddity-leaderboard-sse50-180-jun-24-past-trades-successful-but-time-to-unwind-some" target="_blank" rel="noopener">link</a>).</li>
<li>In this insight, we take a look at our final expectations for index changes during the June 2024 index rebal event.</li>
</ul>


SSE 50 and SSE 180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on the Shanghai Stock Exchange.
The 12-month reference period used for the June 2024 review is now complete. The SSE 180 expected ADDs/DELs list has changed slightly since I published my last insight (link).
In this insight, we take a look at our final expectations for index changes during the June 2024 index rebal event.


Quiddity Leaderboard SSE50/180 Jun 24: US$2bn One-Way; LONGs up +9.8% Vs SHORTs in ~2 Months

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

<ul>
<li>With the review period nearing completion, 6 stocks are in inclusion zone and 9 are in deletion zone. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 7.1% at the June rebalance leading to a one-way trade of CNY 9.9bn (US$1.37bn). Index arb balances should increase the impact on the stocks.</li>
<li>The potential inclusions (of which four are Financials) have continued to outperform the mixed bag of potential deletions. With pretty big impact on the deletes, expect further divergence.</li>
</ul>


With the review period nearing completion, 6 stocks are in inclusion zone and 9 are in deletion zone. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 7.1% at the June rebalance leading to a one-way trade of CNY 9.9bn (US$1.37bn). Index arb balances should increase the impact on the stocks.
The potential inclusions (of which four are Financials) have continued to outperform the mixed bag of potential deletions. With pretty big impact on the deletes, expect further divergence.


SSE50 Index Rebalance Preview: Financials Continue to Outperform

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Event-Driven

Contemporary Amperex Technology (CATL) / Event-Driven

Contemporary Amperex Technology (CATL) (300750 CH)

<ul>
<li>The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.</li>
<li>Last week saw NORTHBOUND net BUY RMB 2.3bn of A-shares on high gross low net volume in the two days. NORTHBOUND bought CATL, Shenzhen Mindray, some financials.</li>
<li>As outperformed Hs on Monday and Tuesday (when both were open), then Hs rocketed on Thursday and Friday. As will have to catch up early in the week.</li>
</ul>


The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
Last week saw NORTHBOUND net BUY RMB 2.3bn of A-shares on high gross low net volume in the two days. NORTHBOUND bought CATL, Shenzhen Mindray, some financials.
As outperformed Hs on Monday and Tuesday (when both were open), then Hs rocketed on Thursday and Friday. As will have to catch up early in the week.


Mainland Connect NORTHBOUND Flows (To 30-Apr/3-May 2024): Big Volumes, Low Net; As Will Play Catchup

<ul>
<li>We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of April 26th.</li>
<li>We estimate the weekly inflows to be US$3,861.7 million, led by consumer staples, financials, materials sectors, and offset by communication services.</li>
<li>We highlight flows for CMB, Moutai, Ping An Insurance, Wuliangye, CATL, Mindray, Luxshare Precision, Eoptolink Technology Inc.,, Imeik Technology Development, Zijin Mining, Bank Of Jiangsu, Midea.</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of April 26th.
We estimate the weekly inflows to be US$3,861.7 million, led by consumer staples, financials, materials sectors, and offset by communication services.
We highlight flows for CMB, Moutai, Ping An Insurance, Wuliangye, CATL, Mindray, Luxshare Precision, Eoptolink Technology Inc.,, Imeik Technology Development, Zijin Mining, Bank Of Jiangsu, Midea.


Northbound Flows (Apr 26th): CMB, Moutai, Ping An Insurance, Wuliangye, CATL, Mindray, Luxshare

China

Bank of Jiangsu Co., Ltd. operates as a commercial bank. The Company offers deposits, loans, gross settlement, investment, wealth management, bill discounting, online banking, and other banking services. Bank of Jiangsu also conducts internet finance businesses.

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Bank of Jiangsu (600919 CH)

Northbound Flows (May 10th): Moutai, CMB, Inovance, Haier Smart Home, Luxshare Precision, Nari

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for Moutai, CMB, Inovance, Haier Smart Home, Luxshare...

Ke Yan, CFA, FRM

Quiddity Leaderboard SSE50/180 Jun 24: US$2bn One-Way; LONGs up +9.8% Vs SHORTs in ~2 Months

I estimate one-way turnover to be roughly US$2bn. Since 12th March 2024, the LONGs have outperformed the SHORTs by 9.77%.

Janaghan Jeyakumar, CFA

SSE50 Index Rebalance Preview: Financials Continue to Outperform

There could be 5 changes for the SSE50 in June. Estimated one-way turnover is 7.1% leading to a one-way trade of CNY 9.9bn (US$1.37bn). The...

Brian Freitas

Mainland Connect NORTHBOUND Flows (To 30-Apr/3-May 2024): Big Volumes, Low Net; As Will Play Catchup

NORTHBOUND saw net buying and in general A-shares outperformed HK stocks on Monday and Tuesday, but mainland markets were closed the rest of the...

Travis Lundy

Northbound Flows (Apr 26th): CMB, Moutai, Ping An Insurance, Wuliangye, CATL, Mindray, Luxshare

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for CMB, Moutai, Ping An Insurance, Wuliangye, CATL,...

Ke Yan, CFA, FRM

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